#pragma warning disable 108
using System;
using System.Runtime.InteropServices;
using System.Collections.Generic;
using Cephei;
using Cephei.Core;
using Cephei.Core.Generic;
using Microsoft.FSharp.Core;
using Cephei.QL.Termstructures;
using Cephei.QL;
using Cephei.QL.Math;
namespace Cephei.QL.Experimental.Variancegamma
{
    /// <summary> 
	/// ! This class describes the stochastic volatility process.  With a Brownian motion given by \f[ db = \theta dt + \sigma dW_t \f] then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate \f$ \nu \f$ then the Variance Gamma process is given by \f[ X(t) = B(T) \f]  \ingroup processes
	/// </summary>
    [Guid ("C60043BF-EF90-4bd2-81AF-F3140A18D002"),ComVisible(true)]
	public interface IVarianceGammaProcess : Cephei.QL.IStochasticProcess1D
	{
		///////////////////////////////////////////////////////////////
        // Methods
        //
        /// <summary> 
		/// 
		/// </summary>
		 Double Diffusion(Double t, Double x);
        /// <summary> 
		/// 
		/// </summary>
		 Cephei.QL.Termstructures.IYieldTermStructure DividendYield {get;}
        /// <summary> 
		/// 
		/// </summary>
		 Double Drift(Double t, Double x);
        /// <summary> 
		/// 
		/// </summary>
		 Double Nu {get;}
        /// <summary> 
		/// 
		/// </summary>
		 Cephei.QL.Termstructures.IYieldTermStructure RiskFreeRate {get;}
        /// <summary> 
		/// 
		/// </summary>
		 Cephei.QL.IQuote S0 {get;}
        /// <summary> 
		/// 
		/// </summary>
		 Double Sigma {get;}
        /// <summary> 
		/// 
		/// </summary>
		 Double Theta {get;}
        /// <summary> 
		/// 
		/// </summary>
		 Double X0 {get;}
    }   

    /// <summary> 
	/// ! This class describes the stochastic volatility process.  With a Brownian motion given by \f[ db = \theta dt + \sigma dW_t \f] then a Variance Gamma process X is defined by evaluating this Brownian motion at sample times driven by a Gamma process. If T is the value of a Gamma process with mean 1 and variance rate \f$ \nu \f$ then the Variance Gamma process is given by \f[ X(t) = B(T) \f]  \ingroup processes Factory
	/// </summary>
   	[ComVisible(true)]
    public interface IVarianceGammaProcess_Factory 
    {
        ///////////////////////////////////////////////////////////////
        // Factory methods
        //
        /// <summary> 
		/// 
		/// </summary>
	    IVarianceGammaProcess Create (Cephei.QL.IQuote s0, Cephei.QL.Termstructures.IYieldTermStructure dividendYield, Cephei.QL.Termstructures.IYieldTermStructure riskFreeRate, Double sigma, Double nu, Double theta);
    }
}

